Is Linking Files Good Practice?
The biggest advantage of linking is that it makes files easier for Blender to compute. It also makes it easier for you to manage - provided you have a coherent structure. The Linked Library Addon can be considered essential for workflow.

Setting the background in one file that you linked in, should give no problem, and you will probably wish you did it sooner.

Where things can get a bit more challenging is linking in files with animation, especially if they have to react with objects in another file. In such case you might leave empties to mark placement but that is not always ideal. 

I highly recommend keeping your files consistent. In particular I have run into trouble in the past with textures that are saved relatively in some files and absolute in others. Because I have the auto-save on my linked library, Blender would create a new folders with Textures and not reference the original texture folder that I had with the original file.

As a resource: there is an excellent explanation on - Jason's Blog